Assume that's not the case, and each orthogonal projection is outside the polygon.
Let $A$ be the closest polygon vertex to $P$, and let $B$ be a neighboring vertex. Let's find the locus points such that $P_1 = \text{proj}_{AB}(P) \
otin AB$.
There are two possibilities.
1. $\angle PAB > \frac{\pi}{2}$. Construct a line $g$ perpendicular to $PA$ through $A$. Then $B$ must be in the half-plane bordered by $g$ not containing $X$.
2. $\angle PBA > \frac{\pi}{2}$. In this case B is inside the circle with diameter PA. However, since $A$ was chosen to be the vertex closest to $P$, this is impossible.
Finally, $A$ has two neighbors. However, having both of then in the half-plane described below line $g$ violates convexity, a contradiction.
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